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st: RE: Re: Fixed effects after xtprobit


From   "Rodrigo Alfaro A." <ralfaro@bcentral.cl>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Re: Fixed effects after xtprobit
Date   Wed, 24 Sep 2008 12:58:19 -0400

///

Shehzad,  

Please note the word conditional in the sentence "There is no command for a conditional fixed-effects model". This means that you cannot compute conditional probit. 

However, you could estimate fixed-effects model in any non-linear model. The problem is the number of parameters (dummies) increases with the sample size (incidental parameter problem). This could be a minor problem in a panel with large-T. 

Anyway, take a look of Greene's paper "Behavior of the Fixed Effects Estimator in Nonlinear Models" available in his webpage http://pages.stern.nyu.edu/~wgreene/, and Arellano and Hahn's paper "Understanding Bias in Nonlinear Panel Models: Some Recent Developments" available at Arellano's webpage http://www.cemfi.es/~arellano/. 

Rodrigo.




-----Mensaje original-----
De: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] En nombre de Martin Weiss
Enviado el: Miércoles, 24 de Septiembre de 2008 12:18 p.m.
Para: statalist@hsphsun2.harvard.edu
Asunto: st: Re: Fixed effects after xtprobit

"There is no command for a conditional fixed-effects model, as there does not exist a sufficient statistic allowing the fixed effects to be conditioned out of the likelihood." (from -h xtprobit-)


HTH
Martin
_______________________
----- Original Message -----
From: "C.T.Shehzad" <c.t.shehzad@rug.nl>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, September 24, 2008 6:14 PM
Subject: st: Fixed effects after xtprobit


> Dear statalisters:
>
> I just wanted to ask why fixed effect model cannot be used with xtprobit 
> while I can do fixed effect with xtlogit. Is there any econometric issue 
> (which I cannot out at the moment) or its a software limitation?
>
> Best regards,
>
> Shehzad
>
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